HELP ME PLEAZE
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- Joined
- Jun 16, 2016
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- 1
I am trying to calculate the half life to mean reversion of a time series. This is what I have done so far. Am i barking up the wrong tree???
Working in excel I have the daily closes of a share price from which i have calculated the change from the previous day of the share price.
I have used the slope function to give me a gradient using Y as the change in price from the previous day and X as the share price.
i have then taken this number (z) and done the following calculation:-
Half-life = LN(2)/Z OR IS THE EQUATION Half-life = LOG(2)/Z OR MORE WORRYINGLY IS IT NONE OF THIS AT ALL!!!!!!!!!
why is the answer negative? It cant take a negative time to mean revert?? or do i just take the absolute value???????
Any help appreciated
Working in excel I have the daily closes of a share price from which i have calculated the change from the previous day of the share price.
I have used the slope function to give me a gradient using Y as the change in price from the previous day and X as the share price.
i have then taken this number (z) and done the following calculation:-
Half-life = LN(2)/Z OR IS THE EQUATION Half-life = LOG(2)/Z OR MORE WORRYINGLY IS IT NONE OF THIS AT ALL!!!!!!!!!
why is the answer negative? It cant take a negative time to mean revert?? or do i just take the absolute value???????
Any help appreciated
| LN | LOG | |||
| PRICE | CHANGE ON DAY | SLOPE | H/LIFE | H/LIFE 2 |
| 20 | 2 | -1.00333 | -0.69084 | -0.30003 |
| 18 | 1 | |||
| 17 | 5 | |||
| 12 | -3 | |||
| 15 | -3 | |||
| 18 | -3 | |||
| 21 | -6 | |||
| 27 | -5 | |||
| 32 | -24 | |||
| 56 |